The last curve segment of a polycurve is still a curve, but all the control points have been placed on top of the last point so it appears as a straight line. To make it a "real" curve, select the polycurve, hold down the Alt key, and drag handles off the end point. You should see the curve take shape as you pull the overlapped handles apart. Alt is used during handle movement to separate overlapping points (or in the case of a polyline, create additional points).